A spectral element approximation to price European options. II. the Black-Scholes model with two underlying assets

DOI10.1007/s10915-009-9270-8zbMath1203.91305MaRDI QIDQ618451

Wuming Zhu, David A. Kopriva

Publication date: 16 January 2011

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-009-9270-8

zbMATH Keywords

Black-Scholes; spectral element; multiple asset options

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M70: Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs

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